Set up shortcut for object interaction mode
By default, the TAB hotkey will toggle between object and edit modes.

As of Blender 2.8, CTRL+TAB will display a Pie menu like in Ariso's answer; but without the need of an addon.



You can also set your own shortcuts for object interaction modes.


Go to Edit > User Preferences
Click the Input tab.
Expand 3D view > Object non modal
Click Add New and expand the created shortcut to edit it.


For the identifier, type object.mode_set.
This will bring a new box that will allow you to set a specific mode.

Example of custom setup where hotkeys F1, F2 and F3 are respectively mapped to the object, edit and draw mode.